Robust and consistent estimation of generators in credit risk

G. dos Reis and G. Smith

Year of publication:	June 2018
Authors:	Reis, Gonçalo dos ; Smith, Greig
Published in:	Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 6, p. 983-1001
Subject:	Likelihood inference \| Credit risk \| Transition probability matrices \| EM algorithm \| Markov Chain Monte Carlo \| Kreditrisiko \| Theorie \| Theory \| Markov-Kette \| Markov chain \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Wahrscheinlichkeitsrechnung \| Probability theory

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